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Time Series Analysis

Type of study Follow-up MasterBachelor
Language of instruction Czech
Code 151-0350/01
Abbreviation AČŘ
Course title Time Series Analysis
Credits 4
Coordinating department Department of Mathematical Methods in Economics
Course coordinator doc. Ing. Petr Seďa, Ph.D.

Subject syllabus

Course content:
1. Basic terms and properties of time series.
2. Dynamics of economic time series. Graphical analysis of time series.
3. Transformation of economic time series, substitution of missing values, outliers and extreme values.
4. Classical model of economic time series (trend, cycle, seasonality).
5. Basic trend models. Trend approximation by mathematical functions.
6. Basic models of seasonal components, seasonal adjustment methods.
7. Verification of estimated model.
8. Adaptive models of economic time series. Moving averages.
9. Exponential smoothing.
10. Principles of forecast construction and prediction quality criteria.
11. Basics of the Box-Jenkins methodology.
12. Model construction in Box-Jenkins methodology.
13. SARIMA-type seasonal time series linear models.

E-learning

The course is supported by on-line LMS (Learning Management System).

Literature

BOX, George, JENKINS, Gwilym and REINSE, Gregory. Time Series Analysis: Forecasting and Control. Springer; 4th edition, 2008. ISBN 978-0470272848 .

BROCKWELL,Petr and DAVIS, Richard. Time Series: Theory and Methods. Springer; 2nd edition, 2009. ISBN 978-1441903198 .

CHATFIELD,Chris. The Analysis of Time Series: An Introduction. Chapman & Hall; 6th edition, 2003. ISBN 978-1584883173 .

KIRCHGÄSSNER, Gebhard, Jürgen WOLTERS a Uwe HASSLER. Introduction to modern time series analysis. 2nd ed. Berlin: Springer, 2013. Springer texts in business and economics. ISBN 978-3-642-33435-1 .

Advised literature

BISGGARD, Soren. – KULAHCI, Murat. Time Series Analysis and Forecasting by Example. Wiley; 1st edition, 2011. ISBN 978-0-470-54064-0 .

SHOWMAN, Robert H. – STOFFER, David S. Time Series Analysis and Its Applications: With R Examples. Springer; 3rd edition, 2011. ISBN 978-1441978646 .

WOODWARD, Wayne A., Henry L. GRAY a Alan C. ELLIOTT. Applied time series analysis. Boca Raton: CRC Press, Taylor& Francis group, 2012. Statistics: textbooks and monographs. ISBN 978-1-4398-1837-4 .


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